Asset Pricing: A Tale of Two Days


 Owen Magnus McCoy
 1 years ago
 Views:
Transcription
1 Aet Pricing: A Tale of Two Day Pavel Savor y Mungo Wilon z Thi verion: June 2013 Abtract We how that aet price behave very di erently on day when important macroeconomic new i cheduled for announcement relative to other trading day. In addition to igni cantly higher average return for riky aet on announcement day, return pattern are alo much eaier to reconcile with tandard aet pricing theorie, both croectionally and acro time. On uch day, tock market beta i trongly related to average return. Thi poitive relation hold for individual tock, for variou tet portfolio, and even for bond and currencie, uggeting that beta i after all an important meaure of ytematic rik. Furthermore, a robut rikreturn tradeo exit on announcement day. Expected variance i poitively related to future aggregated quarterly announcement day return, in contrat to market or aggregated nonannouncement day return where there i no evidence of predictability. We explore the implication of our nding in the context of variou aet pricing model. Thi paper wa previouly circulated under the title "Stock Market Beta and Average Return on Macroeconomic Announcement Day." y (215) The Wharton School, Univerity of Pennylvania. z Said Buine School and OxfordMan Intitute, Oxford Univerity. We thank John Campbell, Ralph Koijen, Juhani Linnainmaa, Chritopher Polk, Rob Stambaugh, Stephanie Sike, Amir Yaron, and eminar participant at the 2013 American Finance Aociation Annual Meeting, 2013 Adam Smith Workhop in Aet Pricing (Univerity of Oxford), 5th Annual Florida State Univerity SunTrut Beach Conference, Dartmouth College (Tuck), Norwegian School of Economic, Temple Univerity (Fox), Acadian Aet Management, Quantitative Management Aociate, and SAC Capital Advior for their valuable comment. 1
2 Introduction Stock market beta hould be important determinant of rik premia. However, mot tudie nd no direct relation between beta and average exce return acro tock. 1 Over time, expected return hould depend poitively on market rik, mot often proxied for by ome meaure of expected market volatility, but uch a relation ha not yet been concluively documented. In thi paper, we how that for an important ubet of day tock market beta actually i trongly related to return, and a robutly poitive rikreturn tradeo alo exit on thee ame day. Speci cally, on day when new about in ation, unemployment, or Federal Open Market Committee (FOMC) interet rate deciion i cheduled to be announced (hereinafter, announcement day or aday ), tock market beta i economically and tatitically igni  cantly related to return on individual tock. Thi relation alo hold for portfolio containing tock orted by their etimated beta, for the 25 FamaFrench ize and booktomarket portfolio, for indutry portfolio, and even for aet other than equitie, uch a government bond or currency carrytrade portfolio. The relation between beta and expected return i till igni cant controlling for rm ize and booktomarket ratio, and alo controlling for beta with the ize, value, and momentum factor. The aet pricing retriction implied by the meanvariance e ciency of the market portfolio (ee, e.g., Cochrane (2001), chapter 1.4) appear to be ati ed on announcement day: the intercept of the announcement day ecuritie market line (SML) for average exce return i either very low or not igni cantly di erent from zero, and it lope i not igni cantly di erent from the average announcement day tock market exce return. By contrat, beta i unrelated to average return on other day ( nonannouncement day or nday ), with the implied market rik premium typically being negative. Our main nding i ummarized in Figure 1. We etimate tock market beta for all tock uing rolling window of 12 month of daily return from 1964 to We then 1 Seminal early tudie include Black, Jenen, and Schole (1973), Black (1972), Fama and French (1992), and Black (1993). Polk, Thomon, and Vuolteenaho (2005) i a more recent paper. 2
3 ort tock into one of ten betadecile valueweighted portfolio. Figure 1 plot average realized exce return for each portfolio againt average portfolio beta eparately for nonannouncement day (blue point and line) and announcement day (red point and line). 2 The nonannouncement day point how a negative relation between average return and beta: an increae in beta of one i aociated with a reduction in average daily exce return of about 1.5 bai point (bp), with a ttatitic for the lope coe cient etimate above three. [FIGURE 1 ABOUT HERE] In contrat, on announcement day the relation between average return and beta i trongly poitive: an increae in beta of one i aociated with an increae in average exce return of 10.3 bp. The relation i alo very tatitically igni cant, with a ttatitic of over 13. Furthermore, the R 2 of each line are repectively 63.1% for nonannouncement day and 95.9% for announcement day. For the betaorted portfolio, almot all variation in announcement day average exce return i explained jut by variation in market beta. Thee reult ugget that beta i after all an important meaure of ytematic rik. At time when invetor expect to learn important information about the economy, they demand higher return to hold higher beta aet. Moreover, earlier reearch etablihe that thee announcement day repreent period of much higher average exce return and Sharpe ratio for the tock market and longterm Treaury bond. Savor and Wilon (2013) (SW) nd that in the period the average exce daily return on a broad index of U.S. tock i 11.4 bp on announcement day veru 1.1 bp on all other day. The nonannouncement day average exce return i actually not igni cantly di erent from zero, while the announcement day premium i highly tatitically igni cant and robut. Thee etimate imply that over 60% of the equity rik premium i earned on announcement day, which contitute jut 13% of the ample period. 3 SW further how that the volatility of announcement day return i 2 Note that in Figure 1 the beta for each portfolio are the ame on both kind of day; only the average realized exce return are di erent. 3 Lucca and Moench (2011) con rm thee reult in the pot1994 period for precheduled FOMC announcement, with the etimated hare of the announcement day cumulative return increaing to over 80% 3
4 only lightly higher, o that the Sharpe ratio of announcement day return i an order of magnitude higher. 4 Therefore, invetor are compenated for bearing beta rik exactly when rik premia are high. One potential alternative explanation for our reult i that there i nothing pecial about announcement day per e, but rather that the trong poitive relation between beta and return documented on uch day i actually driven by ome particular feature of announcement day that i alo hared by other day. However, we do not nd evidence upporting thi alternative hypothei. We how that no imilar relation exit on day when the tock market experience large move, or on thoe day when average market return are much higher than the ample mean (more peci cally, during the month of January or during the turn of the month). We next how that expected variance forecat quarterly aggregated announcement day return (with a large poitive coe cient and a ttatitic above four), which i conitent with a timeerie tradeo between rik and expected return. 5 Expected variance, which hould repreent a good proxy for market rik, i by far the mot important factor for predicting return on announcement day. Thi reult i very robut, holding in a variety of VAR peci cation, when we ue weighted leat quare, and alo when we divide our ample into two halve. By contrat, on other day there i no evidence of uch predictability, with a coe cient on expected variance that i actually negative and not tatitically igni cant. Combined with our previou nding on market beta, thi reult highlight an important puzzle. Two major prediction of tandard aet pricing theorie hold on thoe day when certain important macroeconomic information i cheduled for releae, which are alo characterized by very high rik premia. On day without announcement, however, there i no upport for either hypothei (if anything, for market beta the relation with return i in thi more recent period. In the ample period conidered in thi paper, the correponding hare i over 70%. 4 They rationalize uch a di erence with an equilibrium model in which agent learn about the expected future growth rate of aggregate conumption mainly through economic announcement. 5 We thank John Campbell, Stefano Giglio, Chritopher Polk, and Robert Turley for providing u with their data. 4
5 the oppoite of what theory predict). Any complete theory thu would have to explain both why market beta determine expected return on announcement day and why they do not on other day. Deepening the puzzle, we nd little di erence between market beta acro di erent type of day. We how formally that, to the extent that the Capital Aet Pricing Model (CAPM) doe not hold on nonannouncement day for aet with identical beta on both type of day, no unconditional twofactor model can be conitent with our reult. Moreover, a ucceful theory would alo have to argue why higher expected rik reult in higher expected return on announcement day when there i no uch rikreturn tradeo on other day. Our reult have an analogue in the reearch that etablihed potentially puzzling relationhip between average return and tock characteritic. 6 Intead of examining how expected return vary with tock characteritic, we invetigate how tock return vary with type of information event. 7 Our main nding i that croectional pattern and the nature of the aggregate rikreturn tradeo are completely di erent depending on whether there i a precheduled releae of important macroeconomic information to the public. 8 The challenge for future reearch i to reconcile the two et of relationhip. Announcement day matter becaue for many riky aet, including the aggregate tock market and longterm government bond, return on thoe day account for a very large portion of their cumulative return. Furthermore, there exit a clear link between macroeconomic rik and aet return on thoe day. Finally, nonannouncement day contitute the great majority of trading day in a given year, and conequently alo cannot be ignored. A good theory hould explain both where the majority of cumulative return come from and what happen mot of the time. The ret of the paper i organized a follow: Section I decribe our reult on the relation 6 A early example of thi literature, ee Bau (1983), Chan, Chen, and Hieh (1985), Chan and Chen (1991), and Fama and French (1996). 7 Balduzzi and Moneta (2012) ue intraday data to meaure bond rik premia around macroeconomic announcement, and are imilarly unable to reject a inglefactor model at high frequency. 8 We are agnotic about the exact nature of the new coming out on announcement day, merely auming that it i re ected in return, and that market beta are therefore poibly the relevant meaure of ytematic rik on uch day. 5
6 between beta and return on announcement and nonannouncement day; Section II how evidence on the rikreturn tradeo on each type of day; Section III explain why our reult are hard to reconcile with everal prominent model and dicue avenue for future reearch that could potentially explain the di erence between announcement and nonannouncement day; and Section IV conclude. In the Appendix, we preent a formal argument illutrating how no unconditional twofactor model can explain the croection of expected return on both type of day. I. Beta on Announcement and Nonannouncement Day I.A. Data and Methodology We obtain tock and Treaury bond return data from CRSP. Our main tock market proxy i the CRSP NYSE/AMEX/NASDAQ valueweighted index of all lited hare. We obtain return for the 25 ize and booktomarketorted portfolio and the 10 indutry portfolio from Kenneth French webite. We etimate a tet aet tock market beta (and other factor beta) over rolling oneyear window uing daily return. 9 We meaure a tock log market capitalization (ME) and booktomarket (BM) a in Fama and French (1996). The ample cover the period. Our macroeconomic announcement date are the ame a in SW. In ation and unemployment announcement date come from the Bureau of Labor Statitic webite, where they become available tarting in We ue Conumer Price Index (CPI) announcement before February 1972 and Producer Price Index (PPI) thereafter (a in SW), ince PPI number are alway releaed a few day earlier, which diminihe the new content of CPI number. The date for the FOMC cheduled interet rate announcement date are available from the Federal Reerve webite from Uncheduled FOMC meeting are not included in the ample. We rt preent reult uing the claic twotep teting procedure for the CAPM, which 9 All our nding remain the ame if we intead etimate beta over 5year period uing monthly return. They alo do not change if we ue ScholeWilliam beta. 6
7 we employ for tock portfolio orted on market beta, indutry, ize, and booktomarket, and for Treaury bond and currency carrytrade portfolio. For the econd tage regreion, we adopt the FamaMacBeth procedure, and compute coe cient eparately for announcement and nonannouncement day. More peci cally, for each period we etimate the following croectional regreion: R N j;t+1 R N f;t+1 = N 0 + N 1 b j;t (1) and R A j;t+1 R A f;t+1 = A 0 + A 1 b j;t ; (2) where b j;t i tet aet j tock market beta for period t (etimated over the previou year uing daily return) from the rttage regreion, R N j;t+1 R N f;t+1 i the exce return on the tet aet on nday, and R A j;t+1 R A f;t+1 i the exce return on the tet aet on a day. We then calculate the ample coe cient etimate a the average acro time of the croectional etimate, and the tandard error equal the timeerie tandard deviation of the croectional etimate divided by the quare root of the repective ample length. 10 Uing thi method, we can tet whether the di erence in coe cient etimate i tatitically igni cant by applying a imple ttet for a di erence in mean. In addition to FamaMacBeth run eparately for announcement and nonannouncement day, we alo etimate a ingle regreion and directly tet whether beta coe cient (implied rik premia) are di erent on aday and nday. Speci cally, we etimate the following panel regreion: R j;t+1 R f;t+1 = 0 + 1j;t b + 2 A t+1 + 3j;t b A t+1 ; (3) where A t+1 i a determinitic indicator variable that equal one if day t+1 i an announcement day and zero otherwie. Standard error are then clutered by time to adjut for the cro 10 Thi approach provide tandard error that re ect croectional correlation of the reidual acro tock. We do not correct the tandard error for potential autocorrelation of the croectional etimate, becaue our analyi indicate thoe are not igni cant enough to have a material impact. 7
8 ectional correlation of the reidual. I.B. Betaorted Portfolio Table 1 report reult for portfolio orted on tock market beta, which are rebalanced each month. We etimate beta for each individual tock uing one year of daily return, ort tock into decile according to thi beta, and then etimate each portfolio beta uing one year of daily return. We report reult for both valueweighted and equalweighted portfolio. In Panel A, we etimate equation (1) and (2) uing the FamaMacBeth approach, and how that for valueweighted return on nonannouncement day the intercept N 0 equal 2.0 bp (ttatitic = 3.6) and the lope of the SML N bp (ttatitic = 0.9), implying a negative equity rik premium. The average R 2 for the croectional regreion i 49.2%. [TABLE 1 ABOUT HERE] The picture i very di erent on announcement day. The intercept i 1.3 bp and i not igni cantly di erent from zero. The lope of the SML i 9.2 bp (ttatitic = 2.8), and it i not igni cantly di erent from the average announcement day market exce return of 10.5 bp (the ttatitic for the di erence i 0.5). And the average R 2 i now 51.4%. The fact that the intercept i not tatitically di erent from zero and that the implied rik premium i very cloe to the oberved rik premium addree the critique by Lewellen, Nagel, and Shanken (2010), who ugget that aet pricing tet focu on the implied rik premium and intercept in croectional regreion and not jut on R 2. A tet for di erence acro regime, which i a imple ttet comparing mean between the announcementday and nonannouncementday ample, implie that the lope coe cient i 10.3 bp higher on aday, with a ttatitic of 2.9. The intercept are not igni cantly di erent. We alo ue a boottrap to etimate tandard error for R 2 on nonannouncement day, and nd that the announcementday R 2 i outide the 95% con dence interval. The reult are imilar for equalweighted portfolio: the lope i igni cantly negative on nonannouncement day (3.1 bp, with a ttatitic of 2.8) and igni cantly poitive (and 8
9 not tatitically ditinguihable from the average announcementday market exce return) on announcement day (9.4 bp, with a ttatitic of 3.0). Both intercept are now poitive and igni cant. The lope coe cient i igni cantly higher on announcement day, with a di erence of 12.6 bp (ttatitic = 3.6). In Panel B, we apply a pooling methodology to etimate the di erence in the intercept and lope coe cient in a ingle regreion uing all day, and obtain the ame reult a thoe in Panel A. The regreion peci cation i given by equation (3), and ttatitic are computed uing clutered tandard error. For valueweighted portfolio, the nday intercept equal 2.4 bp (ttatitic = 3.3), and i 1.6 bp higher (but not igni cantly o) on aday. The nday lope coe cient equal 1.5 bp (ttatitic = 1.2) on nday, and i igni cantly higher on aday, with a di erence of 8.4 bp (ttatitic = 2.7). The nonigni cance of the announcementday indicator on it own i alo noteworthy, ince in the abence of the interaction term it i highly poitive and igni cant. Thu, all of the outperformance of di erent betaorted portfolio on aday i explained by their beta. For equalweighted portfolio, we get imilar reult. The nday intercept i 7.9 bp (ttatitic = 10.6), which i 6.1 bp lower than the intercept on aday (ttatitic = 3.0). The nday lope coe cient i 3.9 bp (ttatitic = 2.9), and the aday lope coe cient i 11.9 bp higher, with a ttatitic for the di erence of 3.6. Figure 1 plot average realized exce return for ten betaorted portfolio againt average portfolio beta eparately for nonannouncement day and announcement day (dicued in the Introduction). 11 A a robutne check, Figure 2 chart the ame variable for 50 betaorted portfolio, with very imilar nding. On nonannouncement day, the intercept i poitive and igni cant (2.5 with a ttatitic of 11.7), while the beta coe cient i negative and igni cant (1.4 with a ttatitic of 6.5). In contrat, on announcement day the intercept i not igni cantly di erent from zero (0.8 with a ttatitic of 1.5), and the beta coe cient i poitive and igni cant (10.4 with a ttatitic of 18.5), and almot the ame a the average how. 11 Note that for eae of expoition the xaxi doe not alway interect the yaxi at zero in the gure we 9
10 announcementday market exce return. Very intriguingly, the highetbeta portfolio ha the lowet nday return (1.9 bp) and alo the highet aday return (22.7 bp), o that the very ame portfolio exhibit very di erent performance on di erent type of day. [FIGURE 2 ABOUT HERE] One potential worry i that our reult are biaed by uing beta that are not conditioned on the type of day. However, when we etimate beta eparately for announcement and nonannouncement day, we nd very mall di erence between the two beta for all of our tet portfolio. We preent thee reult below, which trongly ugget that di erence in market beta for individual tock and variou tet portfolio on announcement and nonannouncement day do not account for our reult. Intead, it i the di erence in average realized exce return that drive our nding. I.C. BooktoMarket and Size, Indutry, Bond, and Carry Portfolio Figure 3 preent analogou reult to thoe in Figure 1 and 2 for the 25 ize and booktomarketorted portfolio. For nonannouncement day return, the blue point replicate the tandard nding that beta are unable to price thee portfolio. In particular, tock with higher beta have lower average return. The blue line i the tted value of equation (1), in which tock market beta i found to command a negative rik premium (5.2 bp, with a ttatitic of 3.9). [FIGURE 3 ABOUT HERE] The red point give the average announcement day exce return for the ame portfolio, plotted againt the ame beta. Now again the prediction of the CAPM hold almot perfectly: the (red) etimate of the announcementday ecuritie market line ha an intercept of 0.4 (ttatitic=0.3) and a lope of 10.7 (ttatitic=8.5), which i very cloe to the etimated announcementday tock market rik premium of 10.5 bp. The R 2 equal 75.9%, indicating that mot of the variation in average exce return of the 25 FamaFrench portfolio on announcement day i accounted for by their tock market beta Market beta do not help explain the croection of momentum portfolio return on either announce 10
11 We further how below that almot all cumulative return of growth tock, mall tock, and the market itelf are earned on announcement day. By contrat, although all portfolio earn higher return on announcement day, value tock earn a ubtantial amount of their total return on nonannouncement day. Figure 4 how the ame chart for ten indutry portfolio. Once again, the blue point lie around a at or mildly downwardloping line with a poitive intercept, and we are unable to reject a zero or negative relationhip between the tock market beta and average return, with a lope of 1.3 (ttatitic = 1.6). In contrat, the red point lie cloely around an announcementday SML, whoe lope i etimated to equal 7.2 (ttatitic=2.5). [FIGURE 4 ABOUT HERE] We next repeat the ame analyi for all of our equity portfolio together (ten betaorted, 25 FamaFrench, and ten indutry portfolio). Since the variou contituent portfolio are formed according to very di erent characteritic, thi i a very tringent and important tet con rming the robutne of our reult. Figure 5 provide the beta / average return chart for the 45 tet portfolio, while Table 2 report coe cient etimate for FamaMacBeth (Panel A) and pooled regreion (Panel B) for thee tet aet combined. Figure 5 look about the ame a our previou chart. On nday, the intercept i poitive and igni cant (3.3 bp with a ttatitic of 5.4), the lope coe cient i negative and igni cant (1.7 bp with a ttatitic of 2.9), and the R 2 i 16.2%. On the other hand, on aday the intercept i not igni cantly di erent from zero (0.4 with a ttatitic of 0.5), the lope coe cient i poitive and igni cant (10.9 bp with a ttatitic of 12.6), and extremely cloe to the ample average aday market return, and the R 2 i 78.7%. A before, market beta explain mot of the croectional return variation on announcement day, while on nonannouncement day they actually predict lower return for higherbeta aet. [FIGURE 5 ABOUT HERE] In Panel A of Table 2, on aday the implied rik premium i etimated to be 8.7 bp ment or nonannouncement day. 11
12 (ttatitic = 2.7), while the nday lope i negative and inigni cant (1.4 with a ttatitic of 1.3). The di erence in the lope coe cient i 10.1 bp (ttatitic = 3.0), indicating that beta i much more poitively related to average return on aday. Thi reult i con rmed by the pooled regreion in Panel B, where the lope on nday i lightly negative (1.4, which i the ame a in the FamaMacBeth regreion), but i 4.5 bp higher on aday (ttatitic = 4.1). In thi regreion, aday beta doe not quite drive out the aday indicator e ect, which indicate that, even controlling for beta, aday return are 5.2 bp higher (ttatitic = 2.0). [TABLE 2 ABOUT HERE] Figure 6 plot etimate of average exce return againt beta for government bond with maturitie of 1, 5, 7, 10, 20, and 30 year. The blue line how a completely at SML indicating a zero relation between beta and average exce return. In contrat, the red point lie cloely around an announcementday SML, whoe lope i etimated to equal 6.2 (ttatitic=4.4) for bond. 13 [FIGURE 6 ABOUT HERE] Finally, market beta are poitively related to return even for currency carrytrade portfolio. In Figure 7, we plot the average daily return to the currencyonly component of ve carrytrade portfolio (P1 through P5) from November 1983 to December 2011, eparately for aday and nday. The portfolio are formed a follow: every day we allocate currencie to ve foreign exchange portfolio uing their onemonth forward premia (P1 contain lowetyielding currencie and P5 highetyielding currencie), and then the next day, within each baket, we take a imple average of the log exchange rate return only. Data cover the 20 mot liquid developed and emerging market currencie (25 before the introduction of the euro). Our approach i the ame a in Della Corte, Riddiough, and Sarno (2012). 14 The highyielding currencie in P5 uually depreciate relative to the lowyielding currencie in P1, but, a i well known, not by enough on average to o et the di erence in yield, o that the 13 The implied rik premium for bond i biaed upward, ince SW how that market beta of bond (unlike our nding for tock) are igni cantly higher on announcement day relative to nonannouncement day. 14 We thank Paquale della Corte for providing u with their data on daily portfolio exchangerate return component. 12
13 return to the currency carry trade are on average poitive. A hown in Figure 7, while on nonannouncement day the tandard pattern, where lowyield currencie tend to appreciate and highyield currencie tend to depreciate, hold, on announcement day the revere i true: lowyield currencie depreciate and highyield currencie appreciate. The average exchangerate component of the return on P5 minu P1 i thu negative on nday but poitive on aday. The di erence between aday and nday return i 5.0 bp per day and i tatitically igni cant (ttatitic = 2.2). Figure 7 plot the average exchangerate component of return for the ve carrytrade portfolio on the yaxi and their market beta on the xaxi. A before, we nd virtually no di erence between portfolio beta acro di erent type of day. On nday, the relation between average exchangerate return and market beta i negative, and both economically and tatitically igni cant. On aday the relationhip revere, and become trongly poitive, with an economically and tatitically igni cant lope acro the ve portfolio. Thu, the pattern we previouly document in the paper for variou tock portfolio and for government bond alo appear to hold for foreign exchange rate: highyield currencie earn higher return on aday, conitent with their market beta, while lowyield beta earn lower average return, alo conitent with their beta. [FIGURE 7 ABOUT HERE] I.D. Individual Stock Our reult o far how that on announcement day market beta are trongly poitively related to return for a variety of tet aet, including variou tock portfolio, government bond of di erent maturitie, and carrytrade currency portfolio. We next evaluate the ability of beta to explain return on announcement day for individual tock. In Table 3, we run FamaMacBeth (a before, eparately for a and nday) and pooled regreion of realized exce return on a rm tock market beta. In Panel A and B, we include a control rm ize, booktomarket ratio (the two characteritic identi ed by Fama and French (1992) a 13
14 helping explain the croection of average tock return), and pat oneyear return; and in Panel C and D our control are a rm beta with the FamaFrench mallminubig (SML), highminulow (HML), and the Carhart upminudown (UMD) factor. The ample cover all CRSP tock for which we have the neceary data. In Panel A, we ee that nonannouncement day are conitent with the tandard reult: ize i trongly negatively related to average return, booktomarket i trongly poitively related, and beta i not igni cantly related. (Pat oneyear return i negatively related to nonannouncement day return, but i barely igni cant.) By contrat, on announcement day market beta i trongly related to return. The coe cient etimate i 7.2 bp, with a ttatitic of 3.3. The di erence between a and nday beta coe cient i 8.1, and i tatitically igni cant (ttatitic = 3.5). Both the implied aday market rik premium and the di erence between a and nday rik premia are omewhat lower than thoe in Table 1 and 2, mot likely becaue individual tock beta are etimated with more meaurement error than thoe for portfolio. The ize coe cient on aday remain economically and tatitically trongly igni cant, while the booktomarket one become le important, no longer tatitically igni cant and with it magnitude dropping by more than 50%. Beta appear to be identifying variation in expected return independent of variation explained by other characteritic: the beta coe cient i imilar when only beta i included in the regreion, while the coe cient on rm characteritic are imilar when only characteritic are included. Thee reult ugget that on announcement day beta identi e ource of expected return unrelated to ize, booktomarket, and pat return. The nding continue to hold for a pooled regreion with an aday dummy and the interaction between the dummy and market beta, and are preented in Panel B. [TABLE 3 ABOUT HERE] In Panel C and D, we add factor beta a control intead of rm characteritic. With the FamaMacBeth approach (Panel C), on nday tock return are negatively related to market beta, with a coe cient of 2.5 bp and a ttatitic of 3.5, and poitively related to 14
15 SMB and HML beta, a i tandard. On aday, individual tock return are poitively related to market beta, with a coe cient of 4.2 bp (ttatitic = 2.0), and the 6.6 bp di erence relative to nday i trongly igni cant (ttatitic = 3.1). Stock return are till poitively related to SMB beta on aday, but are no longer igni cantly related to HML beta. Interetingly, although return are negatively related to UMD beta on both type of day, the coe cient i igni cant only on aday. A before, thee reult do not change when we ue a ingle pooled regreion (Panel D). We conclude that the trong poitive relation between market beta and return on aday hold even for individual tock, depite the fact that meaurement error in individual tock beta probably make it much harder to detect uch a relation. I.E. Large Abolute Return or Announcement Day Return? One poible explanation for our nding i that announcement day may be time of large market move and that tock with higher beta comove more with the market on thee largemove (intead of announcement) day, generating a purely mechanical ucce for tock market beta. In other word, it may be the cae that market beta are related to return on announcement day olely becaue thee day are more likely to be period of extreme market movement and not becaue announcement day are fundamentally di erent in any other way. To addre thi poibility, we etimate ecuritie market line for day of large market return (de ned a abolute return in the top decile) for the 25 FamaFrench portfolio. We nd that the relationhip between beta and average return on uch day i actually trongly negative, with an implied rik premium of bp (ttatitic = 7.5). Thi implied rik premium i much lower than the average return on largemove day, which equal bp. We can thu reject thi alternative explanation. Furthermore, SW how that the volatility of market return i not much greater in magnitude on announcement day. Intead, it i the market Sharpe ratio that i much higher on uch day. [FIGURE 8 ABOUT HERE] 15
16 I.F. High Average Return or Announcement Day Return? Another potential explanation i that our reult are not driven by announcement day but rather more generally by period when rik premia are higher. In other word, it could be the cae that market beta help explain the croection of return much better during thoe period when the equity rik premium i high, 15 and that our nding re ect thi relation rather than omething that i peci c to announcement day. One way to addre thi alternative i to identify other recurring and predictable period when the market rik premium i igni cantly higher than the average, and explore the relation between beta and return during uch period. Baed on prior work, we ugget two candidate period: the month of January and the turn of the month. 16 Starting with Roze and Kinney (1976), a large body of work document high tock return in January. Ariel (1987) and Lakonihok and Smidt (1988) how that tock return are on average epecially high during the turn of the month, typically de ned a the lat trading day of a month plu the rt four trading day of the following month. Figure 9 and 10 how that the January and the turnofthemonth e ect are roughly comparable to announcement day, both in term of average exce return and Sharpe ratio. Of coure, it could be the cae that thee phenomena imply repreent anomalie or artifact of the data rather than genuinely higher rik premia, but we ignore thi iue for the purpoe of our tet. [FIGURES 9 AND 10 ABOUT HERE] In Figure 11, we how that for the 25 FamaFrench portfolio market beta are only very weakly related to average return during the turnofthemonth period. The implied rik premium i poitive, but it i quite low (1.9 bp relative to the average turnofthemonth return of 8.5 bp) and not tatitically igni cant (ttatitic = 0.7). Furthermore, the R 2 for the regreion of average exce return on market beta i only 2.2%. The implied rik premium during January, hown in Figure 12, i ubtantially higher (9.6 bp), but it i not tatitically igni cant (ttatitic = 1.1). Moreover, market beta explain only a very mall 15 A an extreme example, if the rik premium i zero, market beta hould obviouly not forecat return. 16 We thank Ralph Koijen for uggeting the turnofthemonth e ect. 16
17 fraction of croectional return variation during that month, with an R 2 of 5.2%. To um up, in contrat to announcement day, the betareturn relation i not trongly poitive during thee other period of high average market return, and thu we conclude that our reult are peci c to announcement day rather than generally holding for any highreturn period. [FIGURES 11 AND 12 ABOUT HERE] I.G. Average Return and Cumulative Return Share In thi ection, we compare the average realized exce return on announcement and nonannouncement day. Table 4 report thee average return for the 25 ize and booktomarket orted portfolio in Panel A, for the market, SMB, HML, and UMD factor in Panel B, for the ten betaorted portfolio in Panel C, and for the ten indutry portfolio in Panel D. The rt obviou feature of the table i that all portfolio return are much higher on announcement day. If thee average exce return correpond to rik premia, then thi fact indicate that all portfolio are expoed to announcementday rik. [TABLE 4 ABOUT HERE] The econd point i that for many tet aet the pattern of average exce return are revered on announcement day. Panel A how that on nonannouncement day the value portfolio outperform the growth portfolio for each ize quintile (the wellknown value premium). On announcement day, however, the low booktomarket portfolio actually outperform the high booktomarket portfolio. The pattern i pretty nearly monotonic except for the extreme value tock. The factor HML return i poitive and tatitically igni cant on nonannouncement day, but negative and inigni cant on announcement day (Panel B). Thu, the tandard valuebeatgrowth pattern i revered on announcement day when the market rik premium and Sharpe ratio are much higher. Furthermore, mall rm tock do not outperform big rm tock on nonannouncement day  all of the wellknown outperformance of mall tock occur on announcement day. 17
18 The return on the SMB factor i baically zero on nonannouncement day (a it i for the extreme growth portfolio) and very high on announcement day. Interetingly, momentum alo outperform by a factor of nearly two on announcement day (although the return to UMD are till trongly igni cant on nonannouncement day), uggeting that part of momentum i explained by the ame phenomenon. In Panel C, we can ee the return pattern i alo revered for betaorted portfolio. For example, the highetbeta decile u er the lowet nday exce return (which i actually negative) of all ten portfolio, but enjoy by far the highet aday return (16.7 bp). Similarly, a Panel D how, hightech tock have the lowet nday exce return (1.0 bp) and the highet aday return (13.0 bp) of all indutry portfolio. In ummary, Table 4 how that the following aet do well on announcement day and otherwie earn very low average exce return: the market, mall tock, growth tock, and highbeta tock. Previou work by SW how that longterm bond alo earn mot of their annual exce return on announcement day (and thi relation i increaing with bond maturity). All other portfolio alo earn igni cantly higher return on announcement day, but their relative return (with repect to other day) are le remarkable. In order to further demontrate the importance of announcement day for performance of variou tet aet, in Table 5 we provide the implied hare of cumulative exce return that are earned on thee day. Speci cally, we de ne the hare a having a numerator equal to the log mean exce return on aday time the number of aday. The denominator i the um of the log mean exce return on aday time the number of aday and the log mean exce return on nday time the number of nday. Campbell and Viceira (2002) (chapter 2) note that a buyandhold invetor maximizing expected CRRA utility of terminal wealth and allocating wealth between a rikle aet and a riky aet hould et hi hare in the riky aet proportional to the log average, and therefore thi (rather than the mean exce return) eem the more appropriate meaure for uch an invetor. Our reult are quite imilar uing 18
19 jut mean exce return. 17 The rt panel of Table 5 how the hare for the 25 FamaFrench ize and booktomarketorted portfolio. Small growth ha a negative average exce return on nday and a negative overall exce return (meaning that it underperformed the rikfree aet over the ample period), but a poitive (and high) average exce return on aday. In conequence, the aday cumulative return i minu 355% of the total cumulative return. Obviouly, in cae of negative total exce return, the magnitude of our meaure i not overly meaningful, but the general point i that mall growth tock were a very bad invetment, except, crucially, on aday. The next two mallcap growth portfolio alo have negative nday average exce return but overall poitive exce return, o the aday cumulative return are repectively 187% and 156% of the total return. Aday return account for the majority of cumulative return for all portfolio in the lowet two booktomarket quintile and alo for the mallet and larget of the median booktomarket portfolio. The implied hare monotonically decline with booktomarket o that value portfolio earn a maller hare of total return on aday than growth portfolio, but even mall and large value earn 37% and 50% repectively of their cumulative return on aday, which account for only 11.3% of trading day. For betaorted portfolio, the hare i not monotonic in beta but Uhaped. For the lowetbeta portfolio, the aday hare i 61%, declining to 25% for the thirdlowet beta portfolio. It then almot monotonically increae to 49% for the 6th beta portfolio, 48% for the 7th beta portfolio, 87% for the 8th beta portfolio, 155% for the 9th (which ha a negative nday average exce return but poitive overall exce return), and an enormou 575% for the highet beta portfolio (which ha a negative nday and overall exce return). [TABLE 5 ABOUT HERE] 17 The hare of compounded exce return that i actually earned on aday i di cult to interpret. For example, an invetor borrowing $1 at the rikfree rate to nance a $1 long poition in the market at the beginning of 1964, and rolling over every day, would have $ by the end of If he had done o only on aday, he would have $5.67, and if only on nday, $ Both the compounded aday return and the compounded nday return are igni cantly le than the total compounded return, o that the um of the hare of the total return earned on a and nday i much le than one. 19
20 The table alo report hare for indutryorted portfolio, which range from 31% for nondurable to 101% for hightechnology rm and 106% for durable. The hare of market return earned on aday implied by our etimate i 74%. Taken together the number how that for all tet aet a igni cant fraction of their total return i earned on aday, which contitute jut 11.3% of the ample. The lowet fraction i 25% for the thirdlowet beta decile portfolio, followed by 31% for nondurable. For all other portfolio, at leat one third of their total return are earned on aday. For about half of the tet aet, the majority of return are earned on aday, and for the market, growth tock, highbeta tock, and tock in cyclical indutrie an overwhelming majority i earned on aday. I.H. Announcement Day veru Nonannouncement Day Beta Our analyi above ue the ame beta for each tet aet on both announcement and nonannouncement day (i.e., we etimate beta uing all day, without ditinguihing between a and nday). One potential worry i that our reult may be biaed by thi approach, where beta are not conditioned on the type of day. For example, di erent aday and nday beta could potentially help explain the di erence in average return that we document. In order to examine thi hypothei, we now compute beta eparately for announcement and nonannouncement day. Table 6 preent the di erence between beta etimated eparately for aday and nday (together with the nday beta, a a reference point). For the ten betaorted portfolio (Panel A), the di erence i not tatitically igni cant for any of the portfolio, with the larget di erence equaling For the FamaFrench 25 portfolio (Panel B), the di erence i igni cant for only ix (motly mallcap) portfolio, and the magnitude i never too large. The larget di erence i for the mall value portfolio, where it i higher on nday, which i a 10% relative di erence. Thee magnitude are too mall to be a igni cant factor in explaining the very large di erence in average return pattern between aday and n 20
MBA 570x Homework 1 Due 9/24/2014 Solution
MA 570x Homework 1 Due 9/24/2014 olution Individual work: 1. Quetion related to Chapter 11, T Why do you think i a fund of fund market for hedge fund, but not for mutual fund? Anwer: Invetor can inexpenively
More informationMSc Financial Economics: International Finance. Bubbles in the Foreign Exchange Market. Anne Sibert. Revised Spring 2013. Contents
MSc Financial Economic: International Finance Bubble in the Foreign Exchange Market Anne Sibert Revied Spring 203 Content Introduction................................................. 2 The Mone Market.............................................
More informationUnit 11 Using Linear Regression to Describe Relationships
Unit 11 Uing Linear Regreion to Decribe Relationhip Objective: To obtain and interpret the lope and intercept of the leat quare line for predicting a quantitative repone variable from a quantitative explanatory
More informationA technical guide to 2014 key stage 2 to key stage 4 value added measures
A technical guide to 2014 key tage 2 to key tage 4 value added meaure CONTENTS Introduction: PAGE NO. What i value added? 2 Change to value added methodology in 2014 4 Interpretation: Interpreting chool
More informationAssessing the Discriminatory Power of Credit Scores
Aeing the Dicriminatory Power of Credit Score Holger Kraft 1, Gerald Kroiandt 1, Marlene Müller 1,2 1 Fraunhofer Intitut für Techno und Wirtchaftmathematik (ITWM) GottliebDaimlerStr. 49, 67663 Kaierlautern,
More informationRedesigning Ratings: Assessing the Discriminatory Power of Credit Scores under Censoring
Redeigning Rating: Aeing the Dicriminatory Power of Credit Score under Cenoring Holger Kraft, Gerald Kroiandt, Marlene Müller Fraunhofer Intitut für Techno und Wirtchaftmathematik (ITWM) Thi verion: June
More informationChapter 10 Stocks and Their Valuation ANSWERS TO ENDOFCHAPTER QUESTIONS
Chapter Stoc and Their Valuation ANSWERS TO ENOFCHAPTER QUESTIONS  a. A proxy i a document giving one peron the authority to act for another, typically the power to vote hare of common toc. If earning
More informationUnobserved Heterogeneity and Risk in Wage Variance: Does Schooling Provide Earnings Insurance?
TI 011045/3 Tinbergen Intitute Dicuion Paper Unoberved Heterogeneity and Rik in Wage Variance: Doe Schooling Provide Earning Inurance? Jacopo Mazza Han van Ophem Joop Hartog * Univerity of Amterdam; *
More informationUnusual Option Market Activity and the Terrorist Attacks of September 11, 2001*
Allen M. Potehman Univerity of Illinoi at UrbanaChampaign Unuual Option Market Activity and the Terrorit Attack of September 11, 2001* I. Introduction In the aftermath of the terrorit attack on the World
More informationOptical Illusion. Sara Bolouki, Roger Grosse, Honglak Lee, Andrew Ng
Optical Illuion Sara Bolouki, Roger Groe, Honglak Lee, Andrew Ng. Introduction The goal of thi proect i to explain ome of the illuory phenomena uing pare coding and whitening model. Intead of the pare
More informationTRADING rules are widely used in financial market as
Complex Stock Trading Strategy Baed on Particle Swarm Optimization Fei Wang, Philip L.H. Yu and David W. Cheung Abtract Trading rule have been utilized in the tock market to make profit for more than a
More informationMorningstar Fixed Income Style Box TM Methodology
Morningtar Fixed Income Style Box TM Methodology Morningtar Methodology Paper Augut 3, 00 00 Morningtar, Inc. All right reerved. The information in thi document i the property of Morningtar, Inc. Reproduction
More informationReview of Multiple Regression Richard Williams, University of Notre Dame, http://www3.nd.edu/~rwilliam/ Last revised January 13, 2015
Review of Multiple Regreion Richard William, Univerity of Notre Dame, http://www3.nd.edu/~rwilliam/ Lat revied January 13, 015 Aumption about prior nowledge. Thi handout attempt to ummarize and yntheize
More informationBrokerage Commissions and Institutional Trading Patterns
rokerage Commiion and Intitutional Trading Pattern Michael Goldtein abon College Paul Irvine Emory Univerity Eugene Kandel Hebrew Univerity and Zvi Wiener Hebrew Univerity June 00 btract Why do broker
More informationRISK MANAGEMENT POLICY
RISK MANAGEMENT POLICY The practice of foreign exchange (FX) rik management i an area thrut into the potlight due to the market volatility that ha prevailed for ome time. A a conequence, many corporation
More informationTIME SERIES ANALYSIS AND TRENDS BY USING SPSS PROGRAMME
TIME SERIES ANALYSIS AND TRENDS BY USING SPSS PROGRAMME RADMILA KOCURKOVÁ Sileian Univerity in Opava School of Buine Adminitration in Karviná Department of Mathematical Method in Economic Czech Republic
More informationMorningstar FixedIncome Style Box TM Methodology
Morningtar FixedIncome Style Box TM Methodology Morningtar Methodology Paper April 30, 01 01 Morningtar, Inc. All right reerved. The information in thi document i the property of Morningtar, Inc. Reproduction
More informationIndependent Samples T test
Independent Sample T tet With previou tet, we were intereted in comparing a ingle ample with a population With mot reearch, you do not have knowledge about the population  you don t know the population
More informationTax Evasion and SelfEmployment in a HighTax Country: Evidence from Sweden
Tax Evaion and SelfEmployment in a HighTax Country: Evidence from Sweden by Per Engtröm * and Bertil Holmlund ** Thi verion: May 17, 2006 Abtract Selfemployed individual have arguably greater opportunitie
More informationTrade Elasticities PRELIMINARY. DO NOT CIRCULATE. Abstract
Trade Elaticitie Jean Imb y Iabelle Méjean z PRELIMINARY. DO NOT CIRCULATE Abtract Arkolaki et al (2011) how the welfare gain from trade can be ummarized by import hare and the price elaticity of import.
More informationDISTRIBUTED DATA PARALLEL TECHNIQUES FOR CONTENTMATCHING INTRUSION DETECTION SYSTEMS. G. Chapman J. Cleese E. Idle
DISTRIBUTED DATA PARALLEL TECHNIQUES FOR CONTENTMATCHING INTRUSION DETECTION SYSTEMS G. Chapman J. Cleee E. Idle ABSTRACT Content matching i a neceary component of any ignaturebaed network Intruion Detection
More informationGlobal Imbalances or Bad Accounting? The Missing Dark Matter in the Wealth of Nations. Ricardo Hausmann and Federico Sturzenegger
Global Imbalance or Bad Accounting? The Miing Dark Matter in the Wealth of Nation Ricardo Haumann and Federico Sturzenegger CID Working Paper No. 124 January 2006 Copyright 2006 Ricardo Haumann, Federico
More informationDISTRIBUTED DATA PARALLEL TECHNIQUES FOR CONTENTMATCHING INTRUSION DETECTION SYSTEMS
DISTRIBUTED DATA PARALLEL TECHNIQUES FOR CONTENTMATCHING INTRUSION DETECTION SYSTEMS Chritopher V. Kopek Department of Computer Science Wake Foret Univerity WintonSalem, NC, 2709 Email: kopekcv@gmail.com
More informationSupport Vector Machine Based Electricity Price Forecasting For Electricity Markets utilising Projected Assessment of System Adequacy Data.
The Sixth International Power Engineering Conference (IPEC23, 2729 November 23, Singapore Support Vector Machine Baed Electricity Price Forecating For Electricity Maret utiliing Projected Aement of Sytem
More informationRiskSharing within Families: Evidence from the Health and Retirement Study
RikSharing within Familie: Evidence from the Health and Retirement Study Ş. Nuray Akın and Okana Leukhina December 14, 2014 We report trong empirical upport for the preence of elfinteretbaed rik haring
More informationARTICLE IN PRESS. Journal of Financial Economics
Journal of Financial Economic 97 (2010) 239 262 Content lit available at ScienceDirect Journal of Financial Economic journal homepage: www.elevier.com/locate/jfec Payoff complementaritie and financial
More informationEvaluating Teaching in Higher Education. September 2008. Bruce A. Weinberg The Ohio State University *, IZA, and NBER weinberg.27@osu.
Evaluating Teaching in Higher Education September 2008 Bruce A. Weinberg The Ohio State Univerity *, IZA, and NBER weinberg.27@ou.edu Belton M. Fleiher The Ohio State Univerity * and IZA fleiher.1@ou.edu
More informationCorporate Tax Aggressiveness and the Role of Debt
Corporate Tax Aggreivene and the Role of Debt Akankha Jalan, Jayant R. Kale, and Cotanza Meneghetti Abtract We examine the effect of leverage on corporate tax aggreivene. We derive the optimal level of
More informationStochastic House Appreciation and Optimal Mortgage Lending
Stochatic Houe Appreciation and Optimal Mortgage Lending Tomaz Pikorki Columbia Buine School tp2252@columbia.edu Alexei Tchityi UC Berkeley Haa tchityi@haa.berkeley.edu December 28 Abtract We characterize
More informationThe e ect of futures trading activity on the distributionof spotmarketreturns
The e ect of future trading activity on the ditributionof potmarketreturn Manuel Illueca Juan A. Lafuente Univeritat Jaume I Departamento de Finanza y Contabilidad. 7, Catellón June 7, Abtract There iextenive
More informationA Spam Message Filtering Method: focus on run time
, pp.2933 http://dx.doi.org/10.14257/atl.2014.76.08 A Spam Meage Filtering Method: focu on run time SinEon Kim 1, JungTae Jo 2, SangHyun Choi 3 1 Department of Information Security Management 2 Department
More informationHUMAN CAPITAL AND THE FUTURE OF TRANSITION ECONOMIES * Michael Spagat Royal Holloway, University of London, CEPR and Davidson Institute.
HUMAN CAPITAL AND THE FUTURE OF TRANSITION ECONOMIES * By Michael Spagat Royal Holloway, Univerity of London, CEPR and Davidon Intitute Abtract Tranition economie have an initial condition of high human
More informationFEDERATION OF ARAB SCIENTIFIC RESEARCH COUNCILS
Aignment Report RP/98983/5/0./03 Etablihment of cientific and technological information ervice for economic and ocial development FOR INTERNAL UE NOT FOR GENERAL DITRIBUTION FEDERATION OF ARAB CIENTIFIC
More informationTtest for dependent Samples. Difference Scores. The t Test for Dependent Samples. The t Test for Dependent Samples. s D
The t Tet for ependent Sample Ttet for dependent Sample (ak.a., Paired ample ttet, Correlated Group eign, Within Subject eign, Repeated Meaure,.. RepeatedMeaure eign When you have two et of core from
More informationProfitability of Loyalty Programs in the Presence of Uncertainty in Customers Valuations
Proceeding of the 0 Indutrial Engineering Reearch Conference T. Doolen and E. Van Aken, ed. Profitability of Loyalty Program in the Preence of Uncertainty in Cutomer Valuation Amir Gandomi and Saeed Zolfaghari
More informationBrand Equity Net Promoter Scores Versus Mean Scores. Which Presents a Clearer Picture For Action? A NonElite Branded University Example.
Brand Equity Net Promoter Score Veru Mean Score. Which Preent a Clearer Picture For Action? A NonElite Branded Univerity Example Ann Miti, Swinburne Univerity of Technology Patrick Foley, Victoria Univerity
More informationProject Management Basics
Project Management Baic A Guide to undertanding the baic component of effective project management and the key to ucce 1 Content 1.0 Who hould read thi Guide... 3 1.1 Overview... 3 1.2 Project Management
More informationTwo Dimensional FEM Simulation of Ultrasonic Wave Propagation in Isotropic Solid Media using COMSOL
Excerpt from the Proceeding of the COMSO Conference 0 India Two Dimenional FEM Simulation of Ultraonic Wave Propagation in Iotropic Solid Media uing COMSO Bikah Ghoe *, Krihnan Balaubramaniam *, C V Krihnamurthy
More informationOffice of Tax Analysis U.S. Department of the Treasury. A Dynamic Analysis of Permanent Extension of the President s Tax Relief
Office of Tax Analyi U.S. Department of the Treaury A Dynamic Analyi of Permanent Extenion of the Preident Tax Relief July 25, 2006 Executive Summary Thi Report preent a detailed decription of Treaury
More informationSector Concentration in Loan Portfolios and Economic Capital. Abstract
Sector Concentration in Loan Portfolio and Economic Capital Klau Düllmann and Nancy Machelein 2 Thi verion: September 2006 Abtract The purpoe of thi paper i to meaure the potential impact of buineector
More informationExposure Metering Relating Subject Lighting to Film Exposure
Expoure Metering Relating Subject Lighting to Film Expoure By Jeff Conrad A photographic expoure meter meaure ubject lighting and indicate camera etting that nominally reult in the bet expoure of the film.
More informationThe Cash Flow Statement: Problems with the Current Rules
A C C O U N T I N G & A U D I T I N G accounting The Cah Flow Statement: Problem with the Current Rule By Neii S. Wei and Jame G.S. Yang In recent year, the tatement of cah flow ha received increaing attention
More informationTowards ControlRelevant Forecasting in Supply Chain Management
25 American Control Conference June 81, 25. Portland, OR, USA WeA7.1 Toward ControlRelevant Forecating in Supply Chain Management Jay D. Schwartz, Daniel E. Rivera 1, and Karl G. Kempf Control Sytem
More informationSenior Thesis. Horse Play. Optimal Wagers and the Kelly Criterion. Author: Courtney Kempton. Supervisor: Professor Jim Morrow
Senior Thei Hore Play Optimal Wager and the Kelly Criterion Author: Courtney Kempton Supervior: Profeor Jim Morrow June 7, 20 Introduction The fundamental problem in gambling i to find betting opportunitie
More informationExchange Rate Volatility of US Dollar and British Pound during Different Phases of Financial Crisis
Exchange Rate Volatility of US ollar and Britih Pound during ifferent Phae of Financial Crii aniel Stavárek Sileian Univerity School of Buine Adminitration Univerzitní nám. 1934/3 Karviná, 733 40 Czech
More informationMECH 2110  Statics & Dynamics
Chapter D Problem 3 Solution 1/7/8 1:8 PM MECH 11  Static & Dynamic Chapter D Problem 3 Solution Page 7, Engineering Mechanic  Dynamic, 4th Edition, Meriam and Kraige Given: Particle moving along a traight
More informationINFORMATION Technology (IT) infrastructure management
IEEE TRANSACTIONS ON CLOUD COMPUTING, VOL. 2, NO. 1, MAY 214 1 BuineDriven Longterm Capacity Planning for SaaS Application David Candeia, Ricardo Araújo Santo and Raquel Lope Abtract Capacity Planning
More informationIntroduction to the article Degrees of Freedom.
Introduction to the article Degree of Freedom. The article by Walker, H. W. Degree of Freedom. Journal of Educational Pychology. 3(4) (940) 5369, wa trancribed from the original by Chri Olen, George Wahington
More informationMixed Method of Model Reduction for Uncertain Systems
SERBIAN JOURNAL OF ELECTRICAL ENGINEERING Vol 4 No June Mixed Method of Model Reduction for Uncertain Sytem N Selvaganean Abtract: A mixed method for reducing a higher order uncertain ytem to a table reduced
More informationProgress 8 measure in 2016, 2017, and 2018. Guide for maintained secondary schools, academies and free schools
Progre 8 meaure in 2016, 2017, and 2018 Guide for maintained econdary chool, academie and free chool July 2016 Content Table of figure 4 Summary 5 A ummary of Attainment 8 and Progre 8 5 Expiry or review
More informationStochastic House Appreciation and Optimal Subprime Lending
Stochatic Houe Appreciation and Optimal Subprime Lending Tomaz Pikorki Columbia Buine School tp5@mail.gb.columbia.edu Alexei Tchityi NYU Stern atchity@tern.nyu.edu February 8 Abtract Thi paper tudie an
More informationControl of Wireless Networks with Flow Level Dynamics under Constant Time Scheduling
Control of Wirele Network with Flow Level Dynamic under Contant Time Scheduling Long Le and Ravi R. Mazumdar Department of Electrical and Computer Engineering Univerity of Waterloo,Waterloo, ON, Canada
More informationFour Points Beginner Risk Managers Should Learn from Jeff Holman s Mistakes in the Discussion of Antifragile arxiv:1401.2524v1 [qfin.
Four Point Beginner Rik Manager Should Learn from Jeff Holman Mitake in the Dicuion of Antifragile arxiv:1401.54v1 [qfin.gn] 11 Jan 014 Naim Nichola Taleb January 014 Abtract Uing Jeff Holman comment
More informationIs MarktoMarket Accounting Destabilizing? Analysis and Implications for Policy
Firt draft: 4/12/2008 I MarktoMarket Accounting Detabilizing? Analyi and Implication for Policy John Heaton 1, Deborah Luca 2 Robert McDonald 3 Prepared for the Carnegie Rocheter Conference on Public
More informationQueueing systems with scheduled arrivals, i.e., appointment systems, are typical for frontal service systems,
MANAGEMENT SCIENCE Vol. 54, No. 3, March 28, pp. 565 572 in 25199 ein 1526551 8 543 565 inform doi 1.1287/mnc.17.82 28 INFORMS Scheduling Arrival to Queue: A SingleServer Model with NoShow INFORMS
More informationProceedings of Power Tech 2007, July 15, Lausanne
Second Order Stochatic Dominance Portfolio Optimization for an Electric Energy Company M.P. Cheong, Student Member, IEEE, G. B. Sheble, Fellow, IEEE, D. Berleant, Senior Member, IEEE and C.C. Teoh, Student
More informationQUANTIFYING THE BULLWHIP EFFECT IN THE SUPPLY CHAIN OF SMALLSIZED COMPANIES
Sixth LACCEI International Latin American and Caribbean Conference for Engineering and Technology (LACCEI 2008) Partnering to Succe: Engineering, Education, Reearch and Development June 4 June 6 2008,
More informationLinear Momentum and Collisions
Chapter 7 Linear Momentum and Colliion 7.1 The Important Stuff 7.1.1 Linear Momentum The linear momentum of a particle with ma m moving with velocity v i defined a p = mv (7.1) Linear momentum i a vector.
More informationA note on profit maximization and monotonicity for inbound call centers
A note on profit maximization and monotonicity for inbound call center Ger Koole & Aue Pot Department of Mathematic, Vrije Univeriteit Amterdam, The Netherland 23rd December 2005 Abtract We conider an
More informationINSIDE REPUTATION BULLETIN
email@inidetory.com.au www.inidetory.com.au +61 (2) 9299 9979 The reputational impact of outourcing overea The global financial crii ha reulted in extra preure on Autralian buinee to tighten their belt.
More informationBundled Discounts: Strategic Substitutes or Complements?
Bundled Dicount: Strategic Subtitute or Complement? Duarte Brito y Univeridade Nova de Liboa and CEFGEUE Helder Vaconcelo z Faculdade de Economia, Univeridade do Porto, CEF.UP and CEPR June 2, 24 btract
More informationResource allocation, productivity and growth in Portugal 1
Article 61 Reource allocation, productivity and growth in Portugal 1 Daniel A. Dia 2 Carlo Robalo Marque 3 Chritine Richmond 4 Abtract Allocative efficiency in the Portuguee economy trongly deteriorated
More informationGrowth and Sustainability of Managed Security Services Networks: An Economic Perspective
Growth and Sutainability of Managed Security Service etwork: An Economic Perpective Alok Gupta Dmitry Zhdanov Department of Information and Deciion Science Univerity of Minneota Minneapoli, M 55455 (agupta,
More information1 Introduction. Reza Shokri* Privacy Games: Optimal UserCentric Data Obfuscation
Proceeding on Privacy Enhancing Technologie 2015; 2015 (2):1 17 Reza Shokri* Privacy Game: Optimal UerCentric Data Obfucation Abtract: Conider uer who hare their data (e.g., location) with an untruted
More informationJanuary 21, 2015. Abstract
T S U I I E P : T R M C S J. R January 21, 2015 Abtract Thi paper evaluate the trategic behavior of a monopolit to influence environmental policy, either with taxe or with tandard, comparing two alternative
More informationCASE STUDY BRIDGE. www.futureprocessing.com
CASE STUDY BRIDGE TABLE OF CONTENTS #1 ABOUT THE CLIENT 3 #2 ABOUT THE PROJECT 4 #3 OUR ROLE 5 #4 RESULT OF OUR COLLABORATION 67 #5 THE BUSINESS PROBLEM THAT WE SOLVED 8 #6 CHALLENGES 9 #7 VISUAL IDENTIFICATION
More informationPerformance of a BrowserBased JavaScript Bandwidth Test
Performance of a BrowerBaed JavaScript Bandwidth Tet David A. Cohen II May 7, 2013 CP SC 491/H495 Abtract An exiting browerbaed bandwidth tet written in JavaScript wa modified for the purpoe of further
More informationBiObjective Optimization for the Clinical Trial Supply Chain Management
Ian David Lockhart Bogle and Michael Fairweather (Editor), Proceeding of the 22nd European Sympoium on Computer Aided Proce Engineering, 1720 June 2012, London. 2012 Elevier B.V. All right reerved. BiObjective
More information1) Assume that the sample is an SRS. The problem state that the subjects were randomly selected.
12.1 Homework for t Hypothei Tet 1) Below are the etimate of the daily intake of calcium in milligram for 38 randomly elected women between the age of 18 and 24 year who agreed to participate in a tudy
More informationScheduling of Jobs and Maintenance Activities on Parallel Machines
Scheduling of Job and Maintenance Activitie on Parallel Machine ChungYee Lee* Department of Indutrial Engineering Texa A&M Univerity College Station, TX 778433131 cylee@ac.tamu.edu ZhiLong Chen** Department
More informationRisk Management for a Global Supply Chain Planning under Uncertainty: Models and Algorithms
Rik Management for a Global Supply Chain Planning under Uncertainty: Model and Algorithm Fengqi You 1, John M. Waick 2, Ignacio E. Gromann 1* 1 Dept. of Chemical Engineering, Carnegie Mellon Univerity,
More informationThe Arms Race on American Roads: The Effect of SUV s and Pickup Trucks on Traffic Safety
The Arm Race on American Road: The Effect of SUV and Pickup Truck on Traffic Safety Michelle J. White Univerity of California, San Diego, and NBER Abtract Driver have been running an arm race on American
More informationA Note on Profit Maximization and Monotonicity for Inbound Call Centers
OPERATIONS RESEARCH Vol. 59, No. 5, September October 2011, pp. 1304 1308 in 0030364X ein 15265463 11 5905 1304 http://dx.doi.org/10.1287/opre.1110.0990 2011 INFORMS TECHNICAL NOTE INFORMS hold copyright
More informationBuying High and Selling Low: Stock Repurchases and Persistent Asymmetric Information
RFS Advance Acce publihed February 9, 06 Buying High and Selling Low: Stock Repurchae and Peritent Aymmetric Information Philip Bond Univerity of Wahington Hongda Zhong London School of Economic Share
More informationSCM integration: organiational, managerial and technological iue M. Caridi 1 and A. Sianei 2 Dipartimento di Economia e Produzione, Politecnico di Milano, Italy Email: maria.caridi@polimi.it Itituto
More informationMethod of Moments Estimation in Linear Regression with Errors in both Variables J.W. Gillard and T.C. Iles
Method of Moment Etimation in Linear Regreion with Error in both Variable by J.W. Gillard and T.C. Ile Cardiff Univerity School of Mathematic Technical Paper October 005 Cardiff Univerity School of Mathematic,
More informationv = x t = x 2 x 1 t 2 t 1 The average speed of the particle is absolute value of the average velocity and is given Distance travelled t
Chapter 2 Motion in One Dimenion 2.1 The Important Stuff 2.1.1 Poition, Time and Diplacement We begin our tudy of motion by conidering object which are very mall in comparion to the ize of their movement
More informationOnline story scheduling in web advertising
Online tory cheduling in web advertiing Anirban Dagupta Arpita Ghoh Hamid Nazerzadeh Prabhakar Raghavan Abtract We tudy an online job cheduling problem motivated by toryboarding in web advertiing, where
More informationREDUCTION OF TOTAL SUPPLY CHAIN CYCLE TIME IN INTERNAL BUSINESS PROCESS OF REAMER USING DOE AND TAGUCHI METHODOLOGY. Abstract. 1.
International Journal of Advanced Technology & Engineering Reearch (IJATER) REDUCTION OF TOTAL SUPPLY CHAIN CYCLE TIME IN INTERNAL BUSINESS PROCESS OF REAMER USING DOE AND Abtract TAGUCHI METHODOLOGY Mr.
More informationApigee Edge: Apigee Cloud vs. Private Cloud. Evaluating deployment models for API management
Apigee Edge: Apigee Cloud v. Private Cloud Evaluating deployment model for API management Table of Content Introduction 1 Time to ucce 2 Total cot of ownerhip 2 Performance 3 Security 4 Data privacy 4
More informationThe Economics of Collective Brands
The Economic of Collective Brand Arthur Fihman BarIlan Univerity Avi Simhon The Hebrew Univerity Irael Finkeltein The Hebrew Univerity Nira Yacouel Ahkelon Academic College April 7, 2014 Abtract We analyze
More informationCASE STUDY ALLOCATE SOFTWARE
CASE STUDY ALLOCATE SOFTWARE allocate caetud y TABLE OF CONTENTS #1 ABOUT THE CLIENT #2 OUR ROLE #3 EFFECTS OF OUR COOPERATION #4 BUSINESS PROBLEM THAT WE SOLVED #5 CHALLENGES #6 WORKING IN SCRUM #7 WHAT
More informationTwo Trees. John H. Cochrane University of Chicago. Francis A. Longstaff The UCLA Anderson School and NBER
Two Tree John H. Cochrane Univerity of Chicago Franci A. Longtaff The UCLA Anderon School and NBER Pedro SantaClara The UCLA Anderon School and NBER We olve a model with two i.i.d. Luca tree. Although
More informationGrowth and Sustainability of Managed Security Services Networks: An Economic Perspective
Growth and Sutainability of Managed Security Service etwork: An Economic Perpective Alok Gupta Dmitry Zhdanov Department of Information and Deciion Science Univerity of Minneota Minneapoli, M 55455 (agupta,
More informationEfficient Pricing and Insurance Coverage in Pharmaceutical Industry when the Ability to Pay Matters
ömmföäfläafaäflaflafla fffffffffffffffffffffffffffffffffff Dicuion Paper Efficient Pricing and Inurance Coverage in Pharmaceutical Indutry when the Ability to Pay Matter Vea Kanniainen Univerity of Helinki,
More informationA Life Contingency Approach for Physical Assets: Create Volatility to Create Value
A Life Contingency Approach for Phyical Aet: Create Volatility to Create Value homa Emil Wendling 2011 Enterprie Rik Management Sympoium Society of Actuarie March 1416, 2011 Copyright 2011 by the Society
More informationA model for the relationship between tropical precipitation and column water vapor
Click Here for Full Article GEOPHYSICAL RESEARCH LETTERS, VOL. 36, L16804, doi:10.1029/2009gl039667, 2009 A model for the relationhip between tropical precipitation and column water vapor Caroline J. Muller,
More informationProgress 8 and Attainment 8 measure in 2016, 2017, and 2018. Guide for maintained secondary schools, academies and free schools
Progre 8 and Attainment 8 meaure in 2016, 2017, and 2018 Guide for maintained econdary chool, academie and free chool September 2016 Content Table of figure 4 Summary 5 A ummary of Attainment 8 and Progre
More informationAccelerationDisplacement Crash Pulse Optimisation A New Methodology to Optimise Vehicle Response for Multiple Impact Speeds
AccelerationDiplacement Crah Pule Optimiation A New Methodology to Optimie Vehicle Repone for Multiple Impact Speed D. Gildfind 1 and D. Ree 2 1 RMIT Univerity, Department of Aeropace Engineering 2 Holden
More informationPartial optimal labeling search for a NPhard subclass of (max,+) problems
Partial optimal labeling earch for a NPhard ubcla of (max,+) problem Ivan Kovtun International Reearch and Training Center of Information Technologie and Sytem, Kiev, Uraine, ovtun@image.iev.ua Dreden
More informationSoftware Engineering Management: strategic choices in a new decade
Software Engineering : trategic choice in a new decade Barbara Farbey & Anthony Finkeltein Univerity College London, Department of Computer Science, Gower St. London WC1E 6BT, UK {b.farbey a.finkeltein}@ucl.ac.uk
More informationName: SID: Instructions
CS168 Fall 2014 Homework 1 Aigned: Wedneday, 10 September 2014 Due: Monday, 22 September 2014 Name: SID: Dicuion Section (Day/Time): Intruction  Submit thi homework uing Pandagrader/GradeScope(http://www.gradecope.com/
More informationReturn on Investment and Effort Expenditure in the Software Development Environment
International Journal of Applied Information ytem (IJAI) IN : 22490868 Return on Invetment and Effort Expenditure in the oftware Development Environment Dineh Kumar aini Faculty of Computing and IT, ohar
More informationAre Saudi Banks Efficient? Evidence Using Data Envelopment Analysis (DEA)
International Journal of Economic and Finance Vol. 2, No. 2; May 2010 Are Saudi Bank Efficient? Evidence Uing Data Envelopment Analyi (DEA) Khalid AlKhathlan (Correponding Author) Economic Department,
More informationPOSSIBILITIES OF INDIVIDUAL CLAIM RESERVE RISK MODELING
POSSIBILITIES OF INDIVIDUAL CLAIM RESERVE RISK MODELING Pavel Zimmermann * 1. Introduction A ignificant increae in demand for inurance and financial rik quantification ha occurred recently due to the fact
More informationFree Enterprise, the Economy and Monetary Policy
Free Enterprie, the Economy and Monetary Policy free (fre) adj. not cont Free enterprie i the freedom of individual and buinee to power of another; at regulation. It enable individual and buinee to create,
More informationHealth Insurance and Social Welfare. Run Liang. China Center for Economic Research, Peking University, Beijing 100871, China,
Health Inurance and Social Welfare Run Liang China Center for Economic Reearch, Peking Univerity, Beijing 100871, China, Email: rliang@ccer.edu.cn and Hao Wang China Center for Economic Reearch, Peking
More informationTHE IMPACT OF MULTIFACTORIAL GENETIC DISORDERS ON CRITICAL ILLNESS INSURANCE: A SIMULATION STUDY BASED ON UK BIOBANK ABSTRACT KEYWORDS
THE IMPACT OF MULTIFACTORIAL GENETIC DISORDERS ON CRITICAL ILLNESS INSURANCE: A SIMULATION STUDY BASED ON UK BIOBANK BY ANGUS MACDONALD, DELME PRITCHARD AND PRADIP TAPADAR ABSTRACT The UK Biobank project
More information6. Friction, Experiment and Theory
6. Friction, Experiment and Theory The lab thi wee invetigate the rictional orce and the phyical interpretation o the coeicient o riction. We will mae ue o the concept o the orce o gravity, the normal
More informationG*Power 3: A flexible statistical power analysis program for the social, behavioral, and biomedical sciences
Behavior Reearch Method 007, 39 (), 759 G*Power 3: A flexible tatitical power analyi program for the ocial, behavioral, and biomedical cience FRAZ FAUL ChritianAlbrechtUniverität Kiel, Kiel, Germany
More information